Many features like spin-orbit coupling, bias and magnetic fields applied, and so on, can strongly influence the Kondo effect. One of the consequences is Kondo peak splitting. However, Kondo peak splitting led by a local moment has not been investigated systematically. In this research we study theoretically electronic transport through a single-level quantum dot exchange coupled to a local magnetic moment in the Kondo regime. We focus on the Kondo peak splitting induced by an anisotropic exchange coupling between the quantum dot and the local moment, which shows rich splitting behavior. We consider the cases of a local moment with S = 1/2 and S = 1. The longitudinal (z-component) coupling plays a role of multivalued magnetic fields and the transverse (x, y-components) coupling lifts the degeneracy of the quantum dot, both of which account for the fine Kondo peak splitting structures. The inter-level or intra-level transition processes are identified in detail. Moreover, we find a Kondo dip at the Fermi level under the proper parameters. The possible experimental observations of these theoretical results should deepen our understanding of Kondo physics.